Browsing by Subject "Maximum likelihood estimation"
Now showing items 1-20 of 21
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Conference Object
Action functional stochastic H∞ estimation for nonlinear discrete time systems
(2002)This paper presents an action functional, sample path optimization technique, for formulating and solving nonlinear discrete-time stochastic H∞ estimation problems. These H∞ problems are formulated as minimax dynamic games ...
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Article
Bank filters for ML parameter estimation via the Expectation-Maximization algorithm: The continuous-time case
(1998)In this paper we consider continuous-time partially observed systems in which the parameters are unknown. We employ conditional moment generating functions of integrals and stochastic integrals to derive new maximum-likelihood ...
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Empirical Bayes approach to block wavelet function estimation
(2002)Wavelet methods have demonstrated considerable success in function estimation through term-by-term thresholding of the empirical wavelet coefficients. However, it has been shown that grouping the empirical wavelet coefficients ...
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Identification of hysteretic systems using the differential evolution algorithm
(2001)A widely used model in the field of hysteretic or memory-dependent vibrations is that of Bouc and Wen. Different parameter values extend its use to various areas of mechanical vibrations. As a consequence an identification ...
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Article
Inference for Some Multivariate ARCH and GARCH Models
(2003)Multivariate time-varying volatility models have attracted a lot of attention in modern finance theory. We provide an empirical study of some multivariate ARCH and GARCH models that already exist in the literature and have ...
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Likelihood Estimation for the INAR(p) Model by Saddlepoint Approximation
(2015)Saddlepoint techniques have been used successfully in many applications, owing to the high accuracy with which they can approximate intractable densities and tail probabilities. This article concerns their use for the ...
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Conference Object
Maximum likelihood diagnosis in partially observable finite state machines
(2005)In this paper we develop a probabilistic approach for fault diagnosis in deterministic finite state machines (FSMs). The proposed approach determines whether the FSM under consideration is faulty or not by observing (part ...
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Conference Object
Maximum Likelihood parameter estimation from incomplete data via the sensitivity equations: The continuous-time case
(IEEE, 1999)The problem of estimating the parameters for continuous-time partially observed systems is discussed. New exact filters for obtaining Maximum Likelihood (ML) parameter estimates via the Expectation Maximization algorithm ...
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Maximum likelihood parameter estimation from incomplete data via the sensitivity equations: the continuous-time case
(2000)This paper is concerned with maximum likelihood (ML) parameter estimation of continuous-time nonlinear partially observed stochastic systems, via the expectation maximization (EM) algorithm. It is shown that the EM algorithm ...
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Nonlinear Poisson autoregression
(2012)We study statistical properties of a class of non-linear models for regression analysis of count time series. Under mild conditions, it is shown that a perturbed version of the model is geometrically ergodic and possesses ...
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Article
Observation of the narrow state X(3872) → J/ψπ+π- in p̄p collisions at √s = 1.96 TeV
(2004)The observation of a state consistent with X(3872) decaying into J/ψπ+π- was reported. The X(3872) mass was measured to be 3871.3±0.7(stat)±0.4(syst)MeV/c2 from a sample of 730±90 candidates. The observed width was consistent ...
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On comparing several spectral densities
(2008)We investigated the problem of testing equality among spectral densities of several independent stationary processes. Our main methodological contribution is the introduction of a novel semiparametric log-linear model that ...
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On efficient AR spectral estimation for long-range predictions
(2005)This article discusses the concept of asymptotic efficiency from the frequency domain point of view making use of the direct method for multiple prediction. In particular, it is shown that with the use of a new autoregressive ...
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Conference Object
On semi-markov modelling and inference for multi-state systems
(Institute of Electrical and Electronics Engineers Inc., 2016)In this work we focus on multi state systems that we model by means of semi-Markov processes. The sojourn times are seen to be independent not identically distributed random variables and assumed to belong to a general ...
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Article
On the effect of misspecifying the density ratio model
(2006)The density ratio model specifies that the log-likelihood ratio of two unknown densities is of known linear form which depends on some finite dimensional parameters. The model can be broadened to allow for m-samples in a ...
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Position and velocity tracking in mobile networks using particle and Kalman filtering with comparison
(2008)This paper presents several methods based on signal strength and wave scattering models for tracking a user. The received-signal level method is first used in combination with maximum likelihood (ML) estimation and ...
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Conference Object
Position error signal estimation at high sampling rates using data and servo sector measurements
(2002)Track density in hard disk drives (HDD) is related to the performance characteristics of the HDD servo control system. Higher track density can be achieved by improving the performance characteristics of the servo controller ...
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Power divergence family of tests for categorical time series models
(2002)A fundamental issue that arises after fitting a regression model is that of testing the goodness of the fit. Our work brings together the power divergence family of goodness of fit tests and regression models for categorical ...
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Article
Residual-based rank specification tests for AR-GARCH type models
(2015)This paper derives the asymptotic distribution for a number of rank-based and classical residual specification tests in AR-GARCH type models. We consider tests for the null hypotheses of no linear and quadratic serial ...
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Article
Search for a W1 Boson decaying to a top and bottom quark pair in 1.8 TeV pp̄ collisions
(2003)A study was performed to search for the production of a new heavy vector gauge boson in 1.8 TeV p̄p collisions and decaying into the tb final state. No evidence was obtained for a signal above the expected background ...